Detail
for 25 Portfolios Formed Monthly on Size and Variance(Residuals)

Monthly
Returns:

July
1963 -September 2018

Annual Returns:

1964 - 2017

Construction:

The portfolios,
which are constructed monthly, are the intersections of 5 portfolios formed on size
(market equity, ME) and 5 portfolios formed on the variance of the residuals from the FF three-factor model (RVar).
The monthly size breakpoints are the NYSE market equity quintiles. RVar is estimated using 60 days (minimum 20) of lagged returns.
The RVar breakpoints are NYSE quintiles.

Stocks:

The portfolios for month t (formed at the end of month t-1), include NYSE, AMEX, and NASDAQ stocks
with ME for the end of month t-1 and non-missing variance of daily returns.